Try going tools > options > system tray. Choose the 'shutdown immediately' option > apply > ok. Now shut LW down using the close button...any better?

If it keeps on opening by itself, you probably have a worm. Check out the sticky below for more info
WARNING: Viruses on the network you should be aware of

Try the easy fix that's mentioned at the end of point 2, it's worked for a lot of people. If you're still stuck, see point 5 for links to help sites. Try Norbiesworld.

Make sure that you're using a good AV program. Keep it updated & scan all downloaded files before opening